Opening Range on e-mini s&p 500 - Useful? What values are you using?

Discussion in 'Index Futures' started by Howard, Jul 23, 2019.

  1. Howard

    Howard

    Most certainly.

    IMO, the most recent past is what matters, not what worked a decade ago. But sure, I wouldn't mind using something that worked a decade ago and still works today.
     
    #11     Jul 24, 2019
  2. Howard

    Howard

    I chart RTH data. SPX/SPY still have regular trading hours from 09:30-16:00, yes?

    ES would not be any different.

    Yesterday's closing price at 16:00 is still a highly significant level. The same with the daily open. High/low prices are less significant, IME, but still worth paying attention to.

    I will share my findings here when I'm done.
     
    #12     Jul 24, 2019
    ElectricSavant likes this.
  3. SunTrader

    SunTrader

    Never tested but I do plot and take note of first 5 mins and first 30 mins (starting at 930 ET) high, low and midpoint between.
     
    #13     Jul 27, 2019
    Howard and AAAintheBeltway like this.
  4. I'll be curious of the results and methodology. A number of posters over the years have done work on opening ranges. Opening gaps have always fascinated traders, although I'm not sure how much significance there is to them in the world of 24 hour trading.

    I did some backtesting years ago on ORs, and, like d08, found the results underwhelming. It is certainly a fertile area to research because that time period is where the action usually is. I am fairly confident a simple breakout or reversion strategy will not have a positive expectancy.
     
    #14     Jul 27, 2019
    Howard likes this.
  5. Howard

    Howard

    Hi all,

    A bit behind on this...

    But if you plot these - surely you must have some experience with these levels...? :)

    What I'm noticing so far is that the midpoint on the 30 minute range seems to have some significance and is a price point the market typically reverts back to. ES is a market which typically reverts or oscillates, so there are far better instruments to consider for OR breakout strategies I'm sure.

    Picture below shows 30 minute OR with the midpoint in blue. I took the liberty to mark out the midpoint reversion trades. Seems like it can be used both as a potential target as soon as the market trades toward it or as a reversal/pivot level.


    upload_2019-8-19_21-22-19.png
     
    #15     Aug 19, 2019
  6. Howard

    Howard

    As for the High/Low lines or the actually 30 minute OR - it does not seem to be very significant. At least not if you want precision.
     
    #16     Aug 19, 2019
    tommcginnis likes this.
  7. Howard

    Howard

    Okay - I'm a bit behind on the visual backtest. That stuff is time consuming. But I will rigorously work through it eventually.

    I am however running a few statistical test and I'm getting probabilities that are 75 % +. So I'm sure something interesting can be found.

    I was about to reveal a few findings, but maybe research is best kept private? Or what? :)
     
    #17     Aug 20, 2019
    ElectricSavant likes this.
  8. slugar

    slugar

    I don’t think it’s meaningless at all but like most edges it doesn’t work all of the time
     
    #18     Sep 8, 2019
  9. maxinger

    maxinger

    Newbies (including me decades ago) uses it.

    Opening range is total garbage. anyway when you do back testing, you can see it for yourself.

    Americans might continue to move the market from where Europeans have left.
    Americans might not like what Europeans have done. and Americans will simply reverse the trend.
    During US opening session, Americans might make up up their minds very fast and move the market right away. OR Americans might make up their minds hours later and then move the market.
    etc etc etc etc etc.

    anyway if you find opening range useful, by all means go use it.
     
    Last edited: Sep 8, 2019
    #19     Sep 8, 2019
  10. d08

    d08

    No-one suggested it always works. I'm saying there's no consistent profit in it as I've backtested it in every way I can imagine. Opinions irrelevant.
     
    #20     Sep 8, 2019